Welcome to TBN ! Where are you located ?
First, before I forget it, "what that means" (locked differential) is you have a pedal or lever at your right heel near the floor of the tractor. That is the differential lock pedal. On the older Masseys I think it is a short L-shaped lever made out of 1/2" diameter rod. It is a manual way to lock the left and right rear axles together defeating the differential in the middle (which of course normally allows one wheel to rotate more than the other which has to happen during turns. Same thing as in a car or truck differential.)
I saw the posts regarding a headstrong tractor wanting to go straight ahead and refusing to turn when steered. Don't recall all of it but some suggested the problem was that the rear wheels were locked together without benefit of any normal "differential" allowing one wheel to turn faster/further than the other. I assume you've moved it around enough to know you don't have the brakes locked or something silly like that.
The rear wheel lock or differential lock on most/all tractors is a pedal at your right heel which locks the rear differential if you press it downward. It is intended to be used momentarily (to stop wheel spin) and not for long periods of time. Sometimes they do not engage easily and have to be stomped more than once, etc. to engage. Operator manuals typically caution not to engage them when the tractor is in the middle of a hard pull but most of us have done that anyway -- since that is when you usually need the locking like in mud or ice where one wheel wants to spin, etc. I have not had one stick in locked position though it sounded like some people have had that happen. Maybe yours is stuck down ? I have no idea if it is advisable to pry it upward if it is stuck in the down position... but I'd try a few other things first:
I suggest straighten up your steering, run it forward and reverse back and forth a few rounds under low power while bouncing on the heel pedal. It SHOULD come back up and disengage. It is spring loaded and should come upward when free. Rocking around playing with it will probably get it loose. Another thing to try is to jerk the wheel brakes (left one or right one individually, first one and then the other while going slowly forward and or backward.) Do that back and forth and see if that will free it up. As someone else suggested lube the heck out of it while you are at it using PT Blaster or some equivalent.
If none of the above works, you might put it up on jack stands where you can play with the wheels and see for sure if in fact they are locked. [In normal unlocked mode, rotating either wheel by hand will cause the other wheel to rotate in the opposite direction. If in gear and clutch out, you won't be able to rotate either rear wheel if the differential is locked.] I hope this is not insulting as some people know what to expect of a differential and some don't.
I own a MF 2660 not a 231. I would expect other actual 231 owners to speak up here. Good luck with it. Should be a good tractor.